Suppose you were given the following information about the prices of zero-bond coupons, all with a maturity of $1$:
The price of a $1$ year zero-coupon bond is $0.943$.
The price of a $2$ year zero-coupon bond is $W$.
If the above prices describe the current term structure and assuming that at time $0$, the constant notional level swap rate is $0.065826$, what is the value of $W$?
My attempt:
$$R = \frac{1 - P_{t_n}}{\sum_{i = 1}^{n} P_{t_i}} = \frac{1 - W}{0.943 + W}$$
But this is $0.065826$ so
$$\frac{1 - W}{0.943 + W} = 0.065826$$
This gives that $W = 0.88$.
Is this correct? It can't be that simple, can it? Any assistance is appreciated.